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Modelisation multifractale du taux de change dollar/euro

Author

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  • Jerome Fillol

Abstract

L’approche multifractale en finance a fait dernierement l’objet de developpements theoriques que l’on doit principalement a Calvet et Fisher (2001, 2002). Dans cet article, nous presentons la modelisation multifractale (Multifractal Model of Asset Returns, MMAR) dont nous proposons une application sur le taux de change dollar/euro. Nous concluons au caractere multifractal de ce taux de change, et, au moyen de simulations de Monte Carlo, a la superiorite de la modelisation multifractale par rapport aux modeles GARCH et FIGARCH pour rendre compte des proprietes de la serie etudiee.

Suggested Citation

  • Jerome Fillol, 2005. "Modelisation multifractale du taux de change dollar/euro," Economie Internationale, CEPII research center, issue 104, pages 135-150.
    • Handle: RePEc:cii:cepiei:2005-4tf
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    File URL: http://www.cepii.fr/IE/rev104/rev104f.htm
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    Cited by:

    1. Julien Idier, 2011. "Long-term vs. short-term comovements in stock markets: the use of Markov-switching multifractal models," The European Journal of Finance, Taylor & Francis Journals, vol. 17(1), pages 27-48.

    More about this item

    Keywords

    Modelisation multifractale; fonction d’echelle; spectre multifractal; taux de change;
    All these keywords.

    JEL classification:

    • C5 - Mathematical and Quantitative Methods - - Econometric Modeling
    • G0 - Financial Economics - - General
    • F31 - International Economics - - International Finance - - - Foreign Exchange

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